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A Fast Monte Carlo Algorithm For Pricing American Options

Author

Listed:
  • Andrés D. Fundia

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

Una relación explícita entre estos parámetros y el algoritmo através del tiempo también se obtienen. El algoritmo pertenece, entonces a la clase de Esquemas de Aproximaciones Aleatorias Completamente Polinomiales para Opciones Americanas,la cual es definida aquí y es propuesta como un criterio para establecer la eficiencia de dicho algoritmo. Este es el primer algoritmo para valuar diversas opciones americanas que proporciona una relación explícita entre la precisión deseada y el tiempo de corrida, y que no es exponencial en el número de tiempos de paro. Este algoritmo puede ser aplicado a opciones americanas de compra y venta, opciones de venta que pagan dividendos y a opciones con barreras y del tipo lookback.

Suggested Citation

  • Andrés D. Fundia, 2002. "A Fast Monte Carlo Algorithm For Pricing American Options," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 1(3), pages 243-253, Septiembr.
    • Handle: RePEc:imx:journl:v:1:y:2002:i:3:p:243-253
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/137
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    Citations

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    Cited by:

    1. Igor P. Rivera & Enzo D'Antonio di Vito & Andrés Fundia, 2011. "Valuación de Swaptions Bermuda basada en el modelo LIBOR adaptado a vectores frontera," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 77-92.

    More about this item

    Keywords

    Monte Carlo; Simulation; American option; Contingent claim prices;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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